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Modeling the interdependence of volatility and inter-transaction duration processes. (English) Zbl 1040.62094
Summary: This paper develops an approach for modeling the interdependence of intra-day volatility and trade duration processes, and extends the recursive specifications that have recently been proposed in the literature. We propose a suitable GMM estimation strategy that includes straightforward estimation of the autoregressive conditional duration model. A Monte Carlo study examines the performance of the estimation method. The empirical work investigates the impact of volatility on transaction intensity in the secondary equity market after a large initial public offering. We find that lagged volatility significantly reduces transaction intensity, which is consistent with predictions from microstructure theory.
62P05Applications of statistics to actuarial sciences and financial mathematics
62M10Time series, auto-correlation, regression, etc. (statistics)
65C05Monte Carlo methods